Package org.drip.xva.proto

Class PositionGroupSpecification

java.lang.Object

org.drip.xva.proto.ObjectSpecification

org.drip.xva.proto.PositionGroupSpecification

public class PositionGroupSpecification
extends ObjectSpecification

PositionGroupSpecification contains the Specification of a Named Position Group. The References are:

• Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party Risk and Funding Costs Journal of Credit Risk 7 (3) 1-19
• Burgard, C., and M. Kjaer (2014): In the Balance Risk 24 (11) 72-75
• Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
• Li, B., and Y. Tang (2007): Quantitative Analysis, Derivatives Modeling, and Trading Strategies in the Presence of Counter-party Credit Risk for the Fixed Income Market World Scientific Publishing Singapore
• Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102

• Module = Portfolio Core Module
• Library = XVA Analytics Library
• Project = Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead
• Package = Collateral, Counter Party, Netting Groups

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
PositionGroupSpecification(java.lang.String id, java.lang.String name, int clientDefaultWindow, int dealerDefaultWindow, R1ToR1[] clientThresholdFunctionArray, R1ToR1 dealerThresholdFunction, double minimumTransferAmount, double independentAmount, int positionReplicationScheme, int brokenDateScheme, double hedgeError, int closeOutScheme)	PositionGroupSpecification Constructor

Method Summary

Modifier and Type	Method	Description
int	brokenDateScheme()	Retrieve the Broken Date Interpolation Scheme
int	clientDefaultWindow()	Retrieve the Client Default Window
R1ToR1[]	clientThresholdFunctionArray()	Retrieve the Array of the Collateral Group Client Threshold R1 - R1 Functions
int	closeOutScheme()	Retrieve the Close Out Scheme
int	dealerDefaultWindow()	Retrieve the Dealer Default Window
R1ToR1	dealerThresholdFunction()	Retrieve the Collateral Group Dealer Threshold R1 - R1 Function
static PositionGroupSpecification	FixedThreshold(java.lang.String name, double clientThreshold, double dealerThreshold, int positionReplicationScheme, int brokenDateScheme, double hedgeError, int closeOutScheme)	Generate a Fixed-Threshold Instance of the Named Position Group
double	hedgeError()	Retrieve the Hedge Error
double	independentAmount()	Retrieve the Collateral Group Independent Amount
boolean	isUncollateralized()	Retrieve the Flag specifying whether the Collateral Group is Uncollateralized
double	minimumTransferAmount()	Retrieve the Collateral Group Minimum Transfer Amount
int	positionReplicationScheme()	Retrieve the Position Replication Scheme
static PositionGroupSpecification	ZeroThreshold(java.lang.String name, int positionReplicationScheme, int brokenDateScheme, double hedgeError, int closeOutScheme)	Generate a Zero-Threshold Instance of the Named Position Group

Methods inherited from class org.drip.xva.proto.ObjectSpecification

id, name

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

PositionGroupSpecification

public PositionGroupSpecification(java.lang.String id,
java.lang.String name,
int clientDefaultWindow,
int dealerDefaultWindow,
R1ToR1[] clientThresholdFunctionArray,
R1ToR1 dealerThresholdFunction,
double minimumTransferAmount,
double independentAmount,
int positionReplicationScheme,
int brokenDateScheme,
double hedgeError,
int closeOutScheme)
                           throws java.lang.Exception

PositionGroupSpecification Constructor

Parameters:

id - The Exposure Roll Up Group ID

name - The Exposure Roll Up Group Name

clientDefaultWindow - The Client Default Window

dealerDefaultWindow - The Dealer Default Window

clientThresholdFunctionArray - The Array of Collateral Group Client Threshold R¹ - R¹ Functions

dealerThresholdFunction - The Collateral Group Dealer Threshold R¹ - R¹ Function

minimumTransferAmount - The Collateral Group Minimum Transfer Amount

independentAmount - The Collateral Group Independent Amount

positionReplicationScheme - Position Replication Scheme

brokenDateScheme - Broken Date Interpolation Scheme

hedgeError - Hedge Error

closeOutScheme - Close Out Scheme

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

ZeroThreshold

public static final PositionGroupSpecification ZeroThreshold(java.lang.String name,
int positionReplicationScheme,
int brokenDateScheme,
double hedgeError,
int closeOutScheme)

Generate a Zero-Threshold Instance of the Named Position Group

Parameters:

name - The Collateral Group Name

positionReplicationScheme - Position Replication Scheme

brokenDateScheme - Broken Date Interpolation Scheme

hedgeError - Hedge Error

closeOutScheme - Close Out Scheme

Returns:

The Zero-Threshold Instance of the Named Position Group

FixedThreshold

public static final PositionGroupSpecification FixedThreshold(java.lang.String name,
double clientThreshold,
double dealerThreshold,
int positionReplicationScheme,
int brokenDateScheme,
double hedgeError,
int closeOutScheme)

Generate a Fixed-Threshold Instance of the Named Position Group

Parameters:

name - The Collateral Group Name

clientThreshold - The Fixed Client Threshold

dealerThreshold - The Fixed Dealer Threshold

positionReplicationScheme - Position Replication Scheme

brokenDateScheme - Broken Date Interpolation Scheme

hedgeError - Hedge Error

closeOutScheme - Close Out Scheme

Returns:

The Fixed-Threshold Instance of the Named Position Group

clientDefaultWindow

public int clientDefaultWindow()

Retrieve the Client Default Window

Returns:

The Client Default Window

dealerDefaultWindow

public int dealerDefaultWindow()

Retrieve the Dealer Default Window

Returns:

The Dealer Default Window

clientThresholdFunctionArray

public R1ToR1[] clientThresholdFunctionArray()

Retrieve the Array of the Collateral Group Client Threshold R¹ - R¹ Functions

Returns:

The Array of the Collateral Group Client Threshold R¹ - R¹ Functions

dealerThresholdFunction

public R1ToR1 dealerThresholdFunction()

Retrieve the Collateral Group Dealer Threshold R¹ - R¹ Function

Returns:

The Collateral Group Dealer Threshold R¹ - R¹ Function

minimumTransferAmount

public double minimumTransferAmount()

Retrieve the Collateral Group Minimum Transfer Amount

Returns:

The Collateral Group Minimum Transfer Amount

independentAmount

public double independentAmount()

Retrieve the Collateral Group Independent Amount

Returns:

The Collateral Group Independent Amount

positionReplicationScheme

public int positionReplicationScheme()

Retrieve the Position Replication Scheme

Returns:

The Position Replication Scheme

brokenDateScheme

public int brokenDateScheme()

Retrieve the Broken Date Interpolation Scheme

Returns:

The Broken Date Interpolation Scheme

hedgeError

public double hedgeError()

Retrieve the Hedge Error

Returns:

The Hedge Error

closeOutScheme

public int closeOutScheme()

Retrieve the Close Out Scheme

Returns:

The Close Out Scheme

isUncollateralized

public boolean isUncollateralized()

Retrieve the Flag specifying whether the Collateral Group is Uncollateralized

Returns:

TRUE - The Collateral Group is Uncollateralized